Credit Default Swaps
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Investment Grade CDS Market Summary:
November 2022
Our newsletter presents key trends derived from observable Credit Default Swaps pricing data over a monthly period.
Top 10 Outperformers
Showcases the top 10 IG CDS “outperformers” based on the largest mid spread decreases between 11/1/22 – 11/30/22
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | GKNLN 5Y | GKN HOLDINGS LTD | -57.3% | -166 | 123 | 289 | 5 |
| 2 | KOMATS 5Y | KOMATSU FINANCE AMERICA INC | -44.0% | -19 | 25 | 44 | 4 |
| 3 | HONDA 5Y | AMERICAN HONDA FIN CORP MEDIUM | -43.5% | -27 | 35 | 62 | 3 |
| 4 | JAPTOB 5Y | TABLEMARK HOLDINGS CO LTD | -41.7% | -32 | 45 | 77 | 3 |
| 5 | TAKEDA 5Y | TAKEDA PHARMACEUTICAL CO LTD | -40.7% | -34 | 49 | 83 | 4 |
| 6 | SIEGR 5Y | SIEMENS | -40.4% | -33 | 49 | 83 | 6 |
| 7 | SNE 5Y | SONY CORP | -39.2% | -16 | 25 | 41 | 2 |
| 8 | KINKI 5Y | KINTETSU GROUP HOLDINGS CO LTD | -39.2% | -37 | 58 | 95 | 3 |
| 9 | SCHREI 5Y | SWISS REINSURANCE COMPANY LTD | -37.4% | -33 | 56 | 89 | 7 |
| 10 | MITCO 5Y | MITSUBISHI CORP | -35.6% | -15 | 27 | 42 | 3 |
Top 10 Underperformers
Showcases the top 10 IG CDS “underperformers” based on the largest mid spread increases between 11/1/22 – 11/30/22
| RANK | BOND NAME | ISSUER | % CHANGE | BPS CHANGE | SPRD | SPRD-1 MONTH | DEALERS |
| 1 | CS 5Y | CREDIT SUISSE AG NEW YORK BRH | 55.4% | 146 | 409 | 263 | 5 |
| 2 | DVN 5Y | DEVON ENERGY CORP | 25.7% | 28 | 137 | 109 | 4 |
| 3 | LNC 5Y | JEFFERSON-PILOT CAP TR B | 23.8% | 31 | 161 | 130 | 4 |
| 4 | UNH 5Y | PACIFICARE HEALTH SYS INC DEL | 21.9% | 10 | 58 | 48 | 5 |
| 5 | KIM 5Y | KIMCO REALTY CORP | 18.2% | 10 | 65 | 55 | 2 |
| 6 | FREGR 5Y | FRESENIUS SE & CO KGAA | 17.3% | 32 | 214 | 183 | 3 |
| 7 | LMT 5Y | LOCKHEED MARTIN CORP | 14.6% | 5 | 40 | 35 | 4 |
| 8 | HESS 5Y | AMERADA HESS CORP | 13.8% | 17 | 138 | 121 | 4 |
| 9 | AMZN 5Y | AMAZON.COM INC | 13.4% | 5 | 41 | 36 | 4 |
| 10 | HON 5Y | ALLIED SIGNAL INC | 12.0% | 4.2 | 39 | 35 | 5 |
Normalized IG Spread by Region
Displays the IG CDS spread by region between 11/1/22 – 11/30/22
Results are based on 5 select regions, however, we offer data across 12 regions
IG Spread by Region – Monthly Comparison
Exhibits the IG mid spread by region for the month ending 10/31/22 vs. the month ending 11/30/22
| REGION | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| Global | 88 | 79 | -9 | Tighter | 517 |
| U.S. | 71 | 68 | -3 | Tighter | 193 |
| Europe | 96 | 82 | -14 | Tighter | 154 |
| U.K. | 122 | 101 | -22 | Tighter | 38 |
| Canada | 77 | 78 | 2 | Wider | 3 |
| Latin America | 152 | 115 | -37 | Tighter | 10 |
Normalized IG Spread by Industry
Displays the IG CDS spread by industry between 11/1/22 – 11/30/22
Results are based on 5 select industry sectors, however, we offer data across 36 sectors
IG Spread by Industries – Monthly Comparison
Exhibits the IG spread by industry for the month ending 10/31/22 vs. the month ending 11/30/22
| INDUSTRIES | PREVIOUS SPREAD | CURRENT SPREAD | BPS CHANGE | MONTHLY PERFORMANCE | CDS COUNT |
| All Industries | 88 | 79 | -9 | Tighter | 517.00 |
| Beverage, Food & Tobacco | 53 | 49 | -4 | Tighter | 29.00 |
| Consumer Goods: Durable | 75 | 57 | -17 | Tighter | 6.00 |
| Hotel, Gaming & Leisure | 93 | 81 | -12 | Tighter | 3.00 |
| Real Estate | 125 | 119 | -6 | Tighter | 26.00 |
| High Tech Industries | 55 | 43 | -11 | Tighter | 19.00 |
Stay up-to-date with monthly summaries.
